Proposes a model for simulating limit order books with state-dependent intensities.
problem Simulating the dynamics of limit order books with varying intensities of order submission.
method Developed a parametric model with state-dependent intensities for limit orders, market orders, and cancellations. Introduced new models for order placement and cancellation selection.
result The proposed model accurately simulates the dynamics of limit order books and outperforms standard Poisson models.
Modeling financial markets with a novel order flow model.
problem Inconsistent parameter values from long-range memory estimators.
method Tsallis q-exponential distribution for limit order cancellation times.
result Improved accuracy in predicting financial market dynamics.
Note on new cancellation formulas for manifolds.
problem Generalizing anomaly cancellation formulas to manifolds.
method Proving new (a, b) type cancellation formulas and using transgression.
result Obtained characteristic forms with modularity properties.
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the statistical properties of inter-cancelation durations defined as the waiting times between consecutive order cancelatio…
Study modular forms over Γ^0(2) and anomaly cancellation formulas.
problem Anomaly cancellation formulas for modular forms over Γ^0(2).
method Study and analysis of modular forms over Γ^0(2).
result Anomaly cancellation formulas derived for modular forms over Γ^0(2).
Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 18 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate the empiric…
We give a direct proof of a cancellation formula raised in [7] on the level of differential forms. We also obtain more cancellation formulas for even dimensional Riemannian manifolds with a complex line bundle involved. Relations among these cancellation formulas are discussed.
New proof shows Cohen-Lyndon property for non-metric small-cancellation.
problem Proving the Cohen-Lyndon property in non-metric settings.
method Generalized metric small-cancellation results.
result Cohen-Lyndon property holds for non-metric small-cancellation quotients.
For even dimensional manifolds, we prove some twisted anomaly cancellation formulas which generalize some well-known cancellation formulas. For odd dimensional manifolds, we obtain some modularly invariant characteristic forms by the Chern-Simons transgression and we also get some twisted anomaly cancellation formulas.
New anomaly cancellation formulas for E8*E8*E8 gauge group.
problem Anomaly cancellation for E8*E8*E8 gauge group.
method Constructed modular forms over SL2(Z) to get new anomaly cancellation formulas.
result New anomaly cancellation formulas for characteristic forms.
New anomaly formulas from E8 bundles.
problem Anomaly cancellation in characteristic forms.
method Constructing modular forms using E8 bundles.
result New anomaly cancellation formulas.
Game options study gradual exercise and cancellation with transaction costs.
problem Analyzing game options with gradual exercise and cancellation under proportional transaction costs.
method Developed algorithmic constructions for bid and ask prices, superhedging strategies, and optimal mixed stopping times.
result Increased flexibility in hedging leads to tighter bounds on option price.
Cohomotopy theory predicts M-theory anomaly cancellation on 8-manifolds.
problem Anomaly cancellation in M-theory on 8-manifolds.
method Using J-twisted Cohomotopy theory, we prove anomaly cancellation conditions.
result Cohomotopy theory implies specific anomaly cancellation conditions in M-theory.
New modular forms for anomaly cancellation formulas on any dimensional manifolds.
problem Constructing new modular forms for anomaly cancellation formulas.
method Using E8 bundles, constructing modular forms on any dimensional manifolds. result Derived new anomaly cancellation formulas and applications.
By studying modular invariance properties of some characteristic forms, we prove some new anomaly cancellation formulas which generalize the Han-Zhang and Han-Liu-Zhang anomaly cancellation formulas
This paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel the option at any point in time for a fixed penalty paid directly to the holder. Here, we provide an explicit valuation formula for the Europ…
Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less understood. There are two positions associated with a cancellation, that is, the price…
Resolves anomaly cancellation for M5-brane in M-theory.
problem Anomaly cancellation for M5-brane in M-theory.
method Hypothesis of charge-quantized C-field flux in J-twisted Cohomotopy.
result Anomaly cancellation resolved under J-twisted Cohomotopy hypothesis.
In this paper, by combining modular forms and characteristic forms, we obtain general anomaly cancellation formulas of any dimension. For 4k+2 dimensional manifolds, our results include the gravitational anomaly cancellation formulas of Alvarez-Gaumé and Witten in dimensions 2, 6 and 10 (\cite{AW}) as special cases. …
New formulas derived for anomaly cancellation on odd-dimensional manifolds.
problem Anomaly cancellation on (4r−1) dimensional manifolds. method Study of modular invariance properties of characteristic forms.
result Derive new anomaly cancellation formulas and congruent formulas on characteristic numbers.
New formulas derived for anomaly cancellation using modular forms and E8 bundles.
problem Anomaly cancellation in odd dimensions.
method Systematic twisting and generalization of SL(2,Z) modular forms to define new forms associated with E8 and E8*E8 bundles.
result Derivation of a new series of anomaly cancellation formulas.
By studying modular invariance properties of some characteristic forms, we obtain twisted anomaly cancellation formulas. We apply these twisted cancellation formulas to study divisibilities on spin manifolds and congruences on spinc manifolds. Especially, we get twisted Rokhlin congruences for 8k+4 dimensional spi…
New framework solves string theory's RR-field tadpole cancellation problems.
problem Precise global nature of RR-field tadpole cancellation conditions in string theory.
method Formulated M-theory C-field on flat M-orientifolds using equivariant cohomotopy.
result Equivariant cohomotopy implies anomaly cancellation conditions for M-branes and D-branes.
Abstract: Generalizes modular forms to family case and finds new anomaly cancellation formulas.
problem Finding anomaly cancellation formulas for determinant line bundles and index gerbes.
method Family index theory applied to SL(2,Z) modular forms. result Obtains new anomaly cancellation formulas for determinant line bundles and index gerbes.
New anomaly formulas derived from E8 bundles.
problem Anomaly cancellation in characteristic forms.
method Constructing modular forms over specific groups using E8 bundles. result Derived new anomaly cancellation formulas.
SL(2,Z) forms lead to new anomaly formulas.
problem Anomaly cancellation in physics.
method SL(2,Z) modular forms.
result New anomaly cancellation formulas derived.
Continuous binary operations on manifolds imply orientability.
problem Continuous binary operations on manifolds.
method Proving orientability through continuous cancellative binary operations.
result Manifolds with continuous cancellative binary operations are orientable.
Quantum SL2 reveals surprising cancellations.
problem Understanding surprising cancellations in quantum trace maps.
method Representation theory of quantum group Uq(sl2) and dual Hopf algebra SL2q. result Representation theoretic interpretation of miraculous cancellations.
The paper extends elliptic genus and proves anomaly cancellation formulas for almost complex manifolds.
problem Anomaly cancellation formulas for almost complex manifolds.
method Extended elliptic genus, proved weak Jacobi forms, derived SL_2(Z) modular forms.
result New anomaly cancellation formulas of characteristic forms for almost complex manifolds.
Using small cancellation for rotating families of groups, we construct new examples of aspherical polyhedra.
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays a…
A new high-frequency market making strategy using Deep Hawkes process.
problem Optimizing high-frequency trading in volatile markets.
method Developed a Deep Hawkes process to model order arrivals and their effects on the limit order book.
result The new strategy outperforms traditional methods in market making.
Dropout regularizes against high-order interactions by canceling interaction rates.
problem Overfitting to high-order interactions in neural networks.
method Analyzes Dropout through the lens of interaction effects, showing how it effectively cancels out the probability of surviving interactions of different orders.
result Dropout regularizes against high-order interactions by effectively canceling out the probability of surviving interactions of different orders.
Proposes Textual Echo Cancellation to improve speech recognition.
problem Improving speech recognition performance and user experience for smart devices.
method A novel sequence-to-sequence model with multi-source attention that processes both the microphone mixture signal and source text of TTS playback.
result Demonstrates enhanced speech recognition performance and reduced latency.
New adaptive filters reduce energy consumption in electronic devices.
problem Reducing energy consumption in adaptive filtering algorithms.
method Data-selective adaptive filters, set-membership (SM) filters, trinion and quaternion systems, partial-updating, LMS and recursive LMS algorithms.
result Improved adaptive filtering algorithms with reduced computational complexity and enhanced stability.
Introduces a theorem for groups acting on trees.
problem Understanding group actions on trees.
method Two proofs of a Small Cancellation Theorem.
result Application to plane polynomial automorphisms.
Random branched covers of groups are homotopy equivalent to geometrically small cancellation complexes.
problem Understanding the topological properties of random branched covers of groups.
method Constructing a random model for branched covers and showing asymptotic homotopy equivalence to geometrically small cancellation complexes.
result The fundamental group of a random branched cover is Gromov hyperbolic and has small cohomological dimension.
We explain and generalise a construction due to Gromov to realise geometric small cancellation groups over graphs of groups as fundamental groups of non-positively curved 2-dimensional complexes of groups. We then give conditions so that the hyperbolicity and some finiteness properties of the small cancellation quotien…
The paper defines new modular forms from almost complex manifolds and derives anomaly cancellation formulas.
problem Anomaly cancellation in almost complex manifolds.
method Defined a generalized elliptic genus and derived SL(2,Z) modular forms.
result Derived anomaly cancellation formulas and divisibility results for holomorphic Euler characteristic.
EPFES uses evolutionary strategies for nonlinear system estimation.
problem Nonlinear system identification with unknown state vector.
method Elitist particle filter based on evolutionary strategies.
result EPFES generalizes Gaussian particle filter and improves nonlinear system estimation.
Proves small cancellation free products have geometric actions on CAT(0) cube complexes.
problem Proving small cancellation free products have geometric actions on CAT(0) cube complexes.
method Using a blown-up complex of groups and a boundary separation criterion, proving wall stabilizers form a rich family of subgroups.
result Proves $C'( rac16)$--small cancellation free products of residually finite groups are residually finite.
With increasing concerns about security, the need for highly secure physical biometrics-based authentication systems utilizing \emph{cancelable biometric} technologies is on the rise. Because the problem of cancelable template generation deals with the trade-off between template security and matching performance, many …
New formulas derived from modular forms for manifold indices.
problem Calculating indices of twisted Dirac operators on manifolds.
method SL(2, Z) modular forms and Γ^0(2), Γ_0(2) forms.
result New anomaly cancellation formulas for spin and spin^c manifolds.
Optimizes high-frequency trading strategies in limit order books.
problem Impact of recent orders on future order submission rates.
method Discrete Markov chain model for LOB dynamics, Markov decision process for optimal order placement.
result Optimal policy using limit, cancellations, and market orders to maximize execution price.
Surveying the signature theorem, researchers cancel anomalies on elliptic surfaces.
problem Anomaly cancellation in elliptic surface physics.
method Application of the Riemann-Roch-Grothendieck-Quillen formula to elliptic curves.
result Local and global anomalies can be canceled on Jacobian elliptic surfaces.
In this paper, we generalize the anomaly cancellation formulas in \cite{AW, Liu1, HZ2} to the cases that an auxiliary bundle W as well as a complex line bundle ξ are involved with no conditions on the first Pontryagin forms being assumed.
We compute the transgressed forms of some modularly invariant characteristic forms,which are related to the twisted elliptic genera. We study the modularity properties of these secondary characteristic forms and relations among them. We also get some twisted anomaly cancellation formulas on some odd dimensional manifol…
CR singularities in 3-manifolds can be cancelled by an isotopy supported in an arbitrarily small neighborhood of a Seifert surface.
problem Canceling CR singularities in 3-manifolds
method Isotopy supported in an arbitrarily small neighborhood of a Seifert surface
result CR singularities can be cancelled